Intraday returns patterns of Malaysian common stock
This study examines the intraday return and risk behavior of Malaysian stock· prices. The volatility of the return is greater in the morning session for both period A and period B as measured by the standard deviation ratios. It is also obsenJed that the intraday standard deviations showed two disti...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
1995
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| Online Access: | http://journalarticle.ukm.my/7964/1/799-1526-1-SM.pdf |
| _version_ | 1825726150744211456 |
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| author | Mohammed Zain Yusof, Fauzias Mat Nor, Othman Yong, |
| author_facet | Mohammed Zain Yusof, Fauzias Mat Nor, Othman Yong, |
| author_sort | Mohammed Zain Yusof, |
| collection | UKM |
| description | This study examines the intraday return and risk behavior of Malaysian stock· prices. The volatility of the return is greater in the morning session for both period A and period B as measured by the standard deviation ratios. It is also obsenJed that the intraday standard deviations showed two distinct U-shaped curves for Period A (where trading started at 10. OOam and ended at 4.00pm) and also a U-shaped curve intraday for period B (where trading started at 9.30pm and ended at 5.00pm). The rank correlation which affects index return volatility is also observed. These observed volatility especially in the later period (period B) seems to be consistent with the rational trading noise hypothesis as proposed by Kyle (1985), where insider s private information is assimilated into prices by the end of the trading session. |
| first_indexed | 2024-03-06T04:06:29Z |
| format | Article |
| id | ukm.eprints-7964 |
| institution | Universiti Kebangsaan Malaysia |
| language | English |
| last_indexed | 2024-03-06T04:06:29Z |
| publishDate | 1995 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| record_format | dspace |
| spelling | ukm.eprints-79642016-12-14T06:45:47Z http://journalarticle.ukm.my/7964/ Intraday returns patterns of Malaysian common stock Mohammed Zain Yusof, Fauzias Mat Nor, Othman Yong, This study examines the intraday return and risk behavior of Malaysian stock· prices. The volatility of the return is greater in the morning session for both period A and period B as measured by the standard deviation ratios. It is also obsenJed that the intraday standard deviations showed two distinct U-shaped curves for Period A (where trading started at 10. OOam and ended at 4.00pm) and also a U-shaped curve intraday for period B (where trading started at 9.30pm and ended at 5.00pm). The rank correlation which affects index return volatility is also observed. These observed volatility especially in the later period (period B) seems to be consistent with the rational trading noise hypothesis as proposed by Kyle (1985), where insider s private information is assimilated into prices by the end of the trading session. Penerbit Universiti Kebangsaan Malaysia 1995 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/7964/1/799-1526-1-SM.pdf Mohammed Zain Yusof, and Fauzias Mat Nor, and Othman Yong, (1995) Intraday returns patterns of Malaysian common stock. Jurnal Pengurusan, 14 . pp. 43-58. ISSN 0127-2713 http://ejournals.ukm.my/pengurusan/issue/view/203 |
| spellingShingle | Mohammed Zain Yusof, Fauzias Mat Nor, Othman Yong, Intraday returns patterns of Malaysian common stock |
| title | Intraday returns patterns of Malaysian common stock |
| title_full | Intraday returns patterns of Malaysian common stock |
| title_fullStr | Intraday returns patterns of Malaysian common stock |
| title_full_unstemmed | Intraday returns patterns of Malaysian common stock |
| title_short | Intraday returns patterns of Malaysian common stock |
| title_sort | intraday returns patterns of malaysian common stock |
| url | http://journalarticle.ukm.my/7964/1/799-1526-1-SM.pdf |
| work_keys_str_mv | AT mohammedzainyusof intradayreturnspatternsofmalaysiancommonstock AT fauziasmatnor intradayreturnspatternsofmalaysiancommonstock AT othmanyong intradayreturnspatternsofmalaysiancommonstock |